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Bootstrap consistency for the Mack bootstrap

Julia Steinmetz and Carsten Jentsch

Insurance: Mathematics and Economics, 2024, vol. 115, issue C, 83-121

Abstract: Mack's distribution-free chain ladder reserving model belongs to the most popular approaches in non-life insurance mathematics. Proposed to determine the first two moments of the reserve, it does not allow to identify the whole distribution of the reserve. For this purpose, Mack's model is usually equipped with a tailor-made bootstrap procedure. Although widely used in practice to estimate the reserve risk, no theoretical bootstrap consistency results exist that justify this approach.

Keywords: Bootstrap consistency; Loss reserving; Mack's model; Mack bootstrap; Predictive inference (search for similar items in EconPapers)
JEL-codes: C13 C18 C53 G22 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:115:y:2024:i:c:p:83-121

DOI: 10.1016/j.insmatheco.2024.01.001

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